Preheat the oven to 350 F. In a medium bowl, whisk together flour, salt, and baking soda. In a large bowl, combine butter and sugar until fluffy.
Add in the egg and vanilla extract, and mix until smooth. Add in the flour mixture, and mix until it is fully combined. Roll the cookie dough into balls, and flatten slightly.
Place one unwrapped Rolo onto each piece of cookie dough. Roll into balls, and place onto a large ungreased baking sheet. Bake for 10-12 minutes.